转型期的中国经济波动与货币政策分析

发布时间：2018-11-04 14:15

【摘要】：自1978年进行市场化改革至今,周期性波动已成为我国宏观经济运行的一个显著特征。与此同时,货币在经济中的作用不断增强,货币供给变化与宏观经济波动之间的联系日趋紧密,逐渐形成了经济周期与货币信用周期交织叠加、相互影响的特点。自然地,我们不禁要问:作为全球最大的转型经济体,我国的宏观经济波动是否具有独特的规律和特点,其背后的主要驱动因素是什么?进一步地,经济周期和货币信用周期二者又是如何联系的?究竟是宏观经济波动引起货币供给变化,还是货币供给变化引起总需求变动,进而导致宏观经济波动?本文试图对上述问题进行解答。因此,文章首先以经济波动典型事实研究的视角,使用1978-2013年的宏观经济数据,从总需求、产业、生产力、就业与工资、价格水平、货币与利息6个方面详细考察了改革开放以来我国经济波动的规律,进而分析了造成我国经济波动的主要因素。我们发现,与同一时期我国由计划经济向市场经济的转型相呼应,宏观经济波动表现出明显的“转型”特征,主要体现在以下两个方面:一是,经济周期大致可分为两个阶段:1978-1990年和1991-2013年。前一阶段,主要是供给面因素造成经济波动。后一阶段,经济波动表现为需求驱动型;二是,第一产业就业人数与第二、三产业就业人数之和的比值具有明显的反周期性,这反映了在我国的工业化进程中,农村剩余劳动力在空间上频繁迁移的特点,即宏观经济景气时,涌向东部沿海发达城市,而在经济衰退时,又迁移回农村。在此基础上,本文以货币政策为切入点,通过构建一个包括中央银行、商业银行与实体经济部门的SVAR模型,分析了我国经济波动与货币信用周期之间的关系。区别于已有研究,我们首次在同一模型中区分了“法定存款准备金率”和“公开市场业务”两种货币政策工具,并运用贝叶斯估计推断方法识别了这两类“货币政策冲击”。结果表明,“法定存款准备金率”通过改变商业银行对总储备的需求,以及银行体系的存款货币创造乘数,进而控制银行信贷、货币供给和与其对应的社会总需求,最终影响产出和总体价格水平;而“公开市场业务”仅是对商业银行流动性水平的微调。进一步地,根据预测误差方差分解和历史分解的结果,我们认为“货币政策冲击”不是造成我国经济波动的主要外生冲击,货币政策主要表现为央行对宏观经济变化的内生响应,较好地实现了稳定宏观经济运行的政策目标。当然,基于本文的研究结果,针对我国经济周期的理论和政策分析均有着许多值得深入和拓展的地方。一个重要的问题是:如何构建符合我国经济波动特征的量化模型,为正确制定政策规则提供科学依据。面对这一极富挑战性的任务,我们还有很长的路要走。
[Abstract]:Since the reform of market economy in 1978, periodic fluctuation has become a remarkable feature of macroeconomic operation in China. At the same time, the role of money in the economy is increasing, and the relationship between the change of money supply and the macroeconomic fluctuation is becoming closer and closer, gradually forming the characteristics of economic cycle and monetary credit cycle intertwined and superimposed, which affect each other. Naturally, we can not help asking: as the world's largest transition economy, our macroeconomic fluctuations have a unique law and characteristics, what are the main driving factors behind it? Further, how do the business cycle and the monetary credit cycle relate to each other? Is it the change of the money supply caused by the macroeconomic fluctuation or the change of the aggregate demand caused by the change of the money supply, which leads to the macroeconomic fluctuation? This paper attempts to answer the above questions. Therefore, from the perspective of the typical facts of economic fluctuation, the article first uses the macroeconomic data from 1978 to 2013, from aggregate demand, industry, productivity, employment and wages, price level. The rules of economic fluctuation in China since the reform and opening up have been investigated in detail from the six aspects of currency and interest, and the main factors causing the fluctuation of China's economy have been analyzed. We find that, in line with the transition from a planned economy to a market economy in China during the same period, macroeconomic fluctuations show obvious characteristics of "transition", which are mainly reflected in the following two aspects: first, The economic cycle can be roughly divided into two phases: 1978-1990 and 1991-2013. The former stage, is mainly supply side factor causes the economic fluctuation. In the latter stage, the economic fluctuation is demand-driven; Second, the ratio of the number of employed in the first industry to the number of employed in the second and third industries is obviously countercyclical, which reflects the characteristics of the frequent spatial migration of rural surplus labor in the process of industrialization in China. That is, macroeconomic boom, to the eastern coastal developed cities, and in the recession, and then moved back to the countryside. On this basis, this paper analyzes the relationship between China's economic fluctuation and monetary credit cycle by constructing a SVAR model including central bank, commercial bank and real economic sector. Different from previous studies, we distinguish Statutory deposit reserve ratio from open market operations in the same model for the first time, and use Bayesian estimation and inference to identify these two types of monetary policy shocks. The results show that Statutory deposit reserve ratio controls bank credit, money supply and corresponding social aggregate demand by changing the commercial banks' demand for total reserves and creating multipliers for deposit money in the banking system. The final impact on output and overall price levels; And "open market business" is only to commercial bank liquidity level fine adjustment. Further, based on the results of variance decomposition and historical decomposition of forecasting errors, we believe that "monetary policy shocks" are not the main exogenous shocks that cause economic fluctuations in China. The monetary policy mainly shows the central bank's endogenous response to the macroeconomic change, and realizes the policy goal of stabilizing the macroeconomic operation. Of course, based on the results of this paper, the theoretical and policy analysis of China's economic cycle is worth deepening and expanding. An important problem is how to build a quantitative model that conforms to the characteristics of China's economic fluctuation, and provide scientific basis for correctly making policy and rules. In the face of this extremely challenging task, we still have a long way to go.
【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F124.8;F822.0

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